Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0006 |
| Annualized Std Dev | 0.1949 |
| Annualized Sharpe (Rf=0%) | 0.0030 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1207 |
| Quartile 1 | -0.0046 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1056 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.9225 |
| Kurtosis | 13.1529 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.7758 |
| Historical VaR (95%) | -0.0182 |
| Historical ES (95%) | -0.0318 |
| Modified VaR (95%) | -0.0199 |
| Modified ES (95%) | -0.0479 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-06 | 2009-03-09 | NA | -0.7758 | 5167 | 2137 | NA |
| 2000-04-03 | 2000-05-25 | 2000-07-07 | -0.1020 | 67 | 38 | 29 |
| 1999-11-18 | 1999-12-01 | 1999-12-27 | -0.0777 | 26 | 9 | 17 |
| 1999-07-19 | 1999-08-10 | 1999-11-04 | -0.0685 | 78 | 17 | 61 |
| 1999-01-07 | 1999-02-10 | 1999-03-16 | -0.0524 | 47 | 24 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 1 | 0.7 | -2 | 0.4 | 0.2 | -1.1 | 0.2 | -0.2 | 0.8 | -1.8 | 0.8 | -1 |
| 2000 | 0.6 | 0.2 | 1 | 1.1 | 2.7 | 1.5 | -0.2 | 0.5 | -1.1 | -1.2 | 0.9 | 0 | 6 |
| 2001 | -0.8 | -0.9 | 0.8 | 1.1 | -0.1 | 0.9 | 0.5 | 1.4 | -0.7 | 1.7 | -0.2 | -0.4 | 3.3 |
| 2002 | -0.4 | 2.1 | 0.1 | 0.5 | 0.7 | -0.9 | -1.8 | 0.2 | 3.9 | 1.1 | -0.8 | 1.1 | 5.9 |
| 2003 | 1.2 | 0.2 | 0.5 | 0.1 | 1.6 | 0.1 | -1.3 | 0.5 | 1.4 | 0.7 | 0.7 | 0.1 | 6 |
| 2004 | 0.1 | 0.7 | 0.5 | -0.2 | 0.2 | -0.7 | 0.2 | 1.1 | 1.7 | 0.1 | 0.7 | 0.2 | 4.6 |
| 2005 | 1.2 | 1.5 | -0.8 | 0.6 | 1.2 | 0.1 | -0.2 | 0.8 | 0 | -0.1 | 0.9 | -0.5 | 4.9 |
| 2006 | -0.2 | 0.6 | -0.2 | 0.1 | 1.3 | -0.2 | -0.5 | 0.4 | 0 | -0.4 | -0.6 | -0.4 | -0.1 |
| 2007 | 0.4 | -0.1 | -0.1 | 0 | 0.2 | 0 | 0.4 | -2.3 | 1.4 | -2.7 | 0.8 | 2.8 | 0.7 |
| 2008 | 0.5 | -4.3 | 3.4 | 1.6 | 0.1 | -0.1 | -0.1 | -0.6 | -0.3 | 0.1 | -7.6 | 1.9 | -5.6 |
| 2009 | -2.7 | -1.8 | -0.4 | -0.6 | 2.6 | 1 | 0.3 | -1.7 | -2.4 | -2.8 | 1.2 | -0.4 | -7.6 |
| 2010 | 1.2 | 1.2 | 0.7 | -1.4 | -1.1 | -0.6 | -0.1 | 2.6 | 0.6 | -0.3 | 1.6 | 0.2 | 4.7 |
| 2011 | 1.8 | -1.1 | 0.3 | 0.4 | -1.6 | 1.3 | -0.1 | -0.3 | -2.1 | -2.8 | 0.5 | 0.1 | -3.7 |
| 2012 | 0.8 | 0.7 | 0.6 | 0.4 | -2.3 | 2 | -0.5 | 0.8 | 0.1 | 1.3 | 0.1 | 1 | 5 |
| 2013 | 1.2 | 0.4 | 0.1 | -1.3 | -0.7 | 0.2 | 0.9 | -0.2 | 0.7 | 0.2 | 0.2 | 0.1 | 1.7 |
| 2014 | -0.6 | 0.5 | 0.5 | -0.2 | 0 | 0.8 | -0.5 | 0.2 | -1.2 | 1.1 | -0.8 | -0.7 | -0.8 |
| 2015 | -1.1 | -0.4 | -0.9 | 0.7 | 0.6 | 0.6 | 1.4 | -1.8 | -0.8 | -0.1 | 0.6 | -0.9 | -2.1 |
| 2016 | 0.1 | 1.6 | 0.4 | -0.6 | 0.3 | 0.4 | 0 | -0.1 | 1.2 | -0.6 | 0 | -0.5 | 2.1 |
| 2017 | 0.3 | 1.5 | -0.1 | 0.4 | 0.5 | 0.1 | 0.2 | 0.3 | 0.4 | 0.1 | -0.1 | -0.3 | 3.4 |
| 2018 | -0.1 | -1.2 | 1.2 | 0.1 | 1.2 | 0.4 | 0 | -0.1 | -0.1 | 1.2 | 0.4 | 0.6 | 3.7 |
| 2019 | 0.2 | 0.6 | 1.1 | -0.1 | -1 | 0.6 | -0.8 | 0.3 | -1.1 | 0.5 | -0.1 | 0 | 0.2 |
| 2020 | -1.3 | -2.4 | -5.5 | -2.5 | 0.5 | 0.6 | 0 | 0.8 | 0.4 | -1.5 | 1.4 | 0.5 | -8.8 |
| 2021 | 1.4 | 1.9 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
